{ "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:21:17+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456525, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446575, "timestamp": "2026-09-22T19:20:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-ETH ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical ETH index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1415 (98.2639% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.35644367, "previousObjective": 0.05144474, "currentLiveError": 74.92844244, "previousLiveError": 6.24166282 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "27SEP26" ], "removedExpiries": [ "23SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options show deeper three-month convexity despite softer front end", "executiveSummary": "Ether three-month BF25 rose 0.31 volatility points to 3.27%, while Ether one-week ATM IV fell 2.28 volatility points to 46.21%.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying news context was retained for Ether options.", "marketContextSummary": "No retained news item offers a sufficiently direct assessment of the Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.91 volatility points to 48.02% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.18 volatility points to 54.59% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.68 volatility points to 0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility 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No context item is selected.", "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV fell 2.28 volatility points to 46.21%, a routine move at the 37th percentile among 30 comparable historical observations. Front-end ATM IV averaged 48.02%, -0.91 points from the prior snapshot, while the long end averaged 54.59%, +0.18 points. 1W RR25 moved 1.32 volatility points toward puts to -0.77%, leaving puts richer than calls. 3M BF25 rose 0.31 volatility points to 3.27%. The nearest eligible forward, 26SEP26, fell $93.40 (-3.38%) to $2,670.31. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 86, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.91 volatility points to 48.02% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.18 volatility points to 54.59% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.68 volatility points to 0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, 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BF25 measures the relative richness of wings versus at-the-money options. The rise contrasted with Ether one-week ATM IV, which fell 2.28 volatility points to 46.21%, while Ether front-end ATM IV across one week to one month averaged 48.02%, down 0.91 points. The Ether 26SEP26 forward price fell 3.38% to $2,670.31. One-minute realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Ether convexity rises at three months", "summary": "Ether three-month BF25 increased as one-week ATM IV and aggregate front-end ATM IV declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained for Ether options.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options show deeper three-month convexity despite softer front end", "standfirst": "In Ether options, three-month BF25 rose 0.31 volatility points to 3.27%, a large move at the 90th percentile of comparable recent observations in Derivasys data. BF25 measures the relative richness of wings versus at-the-money options. The rise contrasted with Ether one-week ATM IV, which fell 2.28 volatility points to 46.21%, while Ether front-end ATM IV across one week to one month averaged 48.02%, down 0.91 points. The Ether 26SEP26 forward price fell 3.38% to $2,670.31. One-minute realised-volatility comparisons were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-minus-SPX realised-volatility spread was 40.60 points, at the 38.1 percentile across 236 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 40.60 points, at the 38.1 percentile across 236 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 49.56, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 35.34999996185303, "ivRatio": 3.487684719701294, "cryptoRealisedVol20d": 51.18898657457777, "spxRealisedVol20": 10.588159948118781, "rvSpread": 40.60082662645899, "rvRatio": 4.834549801419709, "rvSpreadPercentile": 38.13559322033898, "rvSpreadPercentileSampleCount": 236, "rvRatioPercentile": 43.644067796610166, "rvRatioPercentileSampleCount": 236, "returnCorrelation30": 0.27670792779924125, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2650340081822947, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys market-context-v1 observations and common-session alignment." } }